| Close | |
|---|---|
| Annualized Return | 0.0998 |
| Annualized Std Dev | 0.2489 |
| Annualized Sharpe (Rf=0%) | 0.4009 |
| Close | |
|---|---|
| Observations | 5023.0000 |
| NAs | 1.0000 |
| Minimum | -0.1259 |
| Quartile 1 | -0.0062 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0077 |
| Maximum | 0.1125 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0157 |
| Skewness | 0.1107 |
| Kurtosis | 6.1818 |
| Close | |
|---|---|
| Semi Deviation | 0.0112 |
| Gain Deviation | 0.0113 |
| Loss Deviation | 0.0118 |
| Downside Deviation (MAR=210%) | 0.0156 |
| Downside Deviation (Rf=0%) | 0.0109 |
| Downside Deviation (0%) | 0.0109 |
| Maximum Drawdown | 0.6559 |
| Historical VaR (95%) | -0.0255 |
| Historical ES (95%) | -0.0371 |
| Modified VaR (95%) | -0.0228 |
| Modified ES (95%) | -0.0327 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2001-05-23 | 2002-10-09 | 2012-02-09 | -0.6559 | 2692 | 341 | 2351 |
| 2020-02-20 | 2020-03-16 | 2020-06-05 | -0.3018 | 75 | 18 | 57 |
| 2018-08-30 | 2018-12-24 | 2019-04-03 | -0.2437 | 148 | 80 | 68 |
| 2001-03-26 | 2001-04-04 | 2001-04-18 | -0.1893 | 14 | 6 | 8 |
| 2015-12-07 | 2016-02-09 | 2016-07-14 | -0.1750 | 152 | 44 | 108 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | -1.4 | 3.3 | 1.4 | 3.2 | 1.6 | 1.4 | -2.4 | 3.6 | -0.3 | -1.4 | 9.2 |
| 2002 | -1.2 | 5.3 | 0.5 | -0.9 | -0.9 | -4.8 | -3.9 | -0.9 | 4.3 | 3.3 | -1 | 0.1 | -0.5 |
| 2003 | -1.4 | 2.1 | -0.1 | 0.5 | 1.2 | 1.5 | -0.6 | 0.9 | 1.7 | 0.2 | 1.1 | -0.2 | 7 |
| 2004 | 0.9 | 1.2 | 1.6 | -1.9 | -0.4 | -2.2 | 0.6 | 0.9 | 3.1 | 0.6 | 2.2 | -0.3 | 6.4 |
| 2005 | 0.5 | 1 | -0.6 | 0.8 | 1 | 0.2 | 0.5 | -0.4 | 0.5 | -0.1 | 1.9 | -0.7 | 4.6 |
| 2006 | 0.1 | 2 | -0.3 | -0.8 | 1.9 | -0.4 | -1.5 | 0.2 | -0.4 | -0.8 | -1.2 | -0.1 | -1.6 |
| 2007 | 0 | -0.5 | -0.1 | 0.3 | 0.1 | -0.1 | 0.9 | 1.1 | 1.2 | -1.5 | -1.1 | -1.3 | -1.1 |
| 2008 | 1.6 | -2.3 | 3.6 | 3.1 | 0.5 | 0.5 | -0.8 | -2.2 | -1.6 | 0.8 | -7.4 | 1.3 | -3.4 |
| 2009 | -2.2 | -0.2 | 2.3 | 0.6 | 3.5 | 0.4 | -0.2 | -1.9 | -2.8 | -2.6 | 1.2 | -1.1 | -3.1 |
| 2010 | 1.4 | 1.6 | -0.2 | -2.3 | -1.1 | -0.4 | -0.3 | 3 | -0.2 | 0.2 | 2.1 | -0.4 | 3.2 |
| 2011 | 1.9 | -1.7 | -0.1 | 0.2 | -2.3 | 1.7 | -0.5 | -1.2 | -2.7 | -2.8 | 0.5 | -0.4 | -7.3 |
| 2012 | 0.9 | 0.6 | -0.3 | 0.2 | -2.9 | 3.2 | -0.5 | 1 | -0.1 | 1.9 | -0.1 | 1.7 | 5.7 |
| 2013 | 1.1 | 0.3 | -0.9 | -1 | -0.7 | 0.5 | 1.3 | -0.6 | 1 | 0 | 0.4 | 0.7 | 2.1 |
| 2014 | -0.5 | -0.2 | 1.5 | 0.2 | -0.1 | 1.3 | -0.5 | 0.4 | -1.8 | 1.9 | -1.3 | -1 | -0.2 |
| 2015 | -0.9 | -0.4 | -0.7 | 1 | 0.5 | 0.5 | -0.3 | -3.2 | 0 | -0.3 | 1.2 | -1.3 | -4 |
| 2016 | 0.3 | 2.9 | 0.8 | -0.3 | -0.1 | 0.2 | 0.3 | 0.3 | 0.5 | -0.8 | -2.3 | -1 | 0.8 |
| 2017 | 0.5 | 1.4 | 0 | 0.9 | 0.4 | -0.2 | 0.4 | -0.1 | 0.7 | -0.1 | -0.6 | -0.6 | 2.9 |
| 2018 | -0.3 | -1.6 | 2.1 | 1.1 | 1.7 | 0 | 0.6 | 0.2 | 0.2 | 1.4 | 0.9 | 0.7 | 7.2 |
| 2019 | 0 | 0.9 | 1.5 | -0.5 | -1.6 | 1.4 | -0.6 | -0.1 | -0.9 | 1 | -0.4 | 0.2 | 0.8 |
| 2020 | -1.6 | 0.8 | -4.4 | -3.1 | 0.6 | 1.4 | 1.7 | 2 | 1.6 | -2.7 | 1 | 0.3 | -2.8 |
| 2021 | 2.5 | 2.8 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.9 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2001-03-19 53.4 SPY 117. 0.0203 -0.0062 -0.120 -0.127 -0.201 NA NA <NA> NA NA NA
2 2001-03-20 52.1 SPY 114. -0.0268 -0.0485 -0.124 -0.128 -0.222 NA NA <NA> NA NA NA
3 2001-03-21 53.5 SPY 112. -0.017 -0.0458 -0.126 -0.154 -0.248 NA NA <NA> NA NA NA
4 2001-03-22 55.2 SPY 111. -0.0102 -0.0557 -0.115 -0.145 -0.260 NA NA <NA> NA NA NA
5 2001-03-23 56.2 SPY 114. 0.0302 -0.0046 -0.0901 -0.0932 -0.249 NA NA <NA> NA NA NA
6 2001-03-26 55.2 SPY 116. 0.0128 -0.012 -0.0722 -0.088 -0.245 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>